You can convert the disk to NTFS without any need to format .. you will not loose anything ..
To convert an existing FAT or FAT32 volume to NTFS, follow these steps:
1.Click Start, point to All Programs, point to Accessories, and then click Command Prompt.
2.At the command prompt, type the following, where drive letter is the drive that you want to convert: convert drive letter: /fs:ntfs
For example, type the following command to convert drive E to NTFS: convert e: /fs:ntfs